multvardiv-package {multvardiv} | R Documentation |
Tools for Multivariate Probability Distributions
Description
This package provides tools for multivariate probability distributions:
Multivariate generalized Gaussian distribution (MGGD)
Multivariate Cauchy distribution (MCD)
Multivariate
t
distribution (MTD)
Details
For each of these probability distributions, are provided:
Calculation of distances/divergences between two distributions:
Renyi divergence, Bhattacharyya distance, Hellinger distance (for now, only available for the
t
distribution):diststudent
Kullback-Leibler divergence:
kld
Tools for these probability distributions: probability distribution function, parameter estimation, sample estimation
Author(s)
Pierre Santagostini pierre.santagostini@institut-agro.fr, Nizar Bouhlel nizar.bouhlel@institut-agro.fr, nizar.bouhlel@inrae.fr
References
N. Bouhlel, A. Dziri, Kullback-Leibler Divergence Between Multivariate Generalized Gaussian Distributions. IEEE Signal Processing Letters, vol. 26 no. 7, July 2019. doi:10.1109/LSP.2019.2915000
N. Bouhlel, D. Rousseau, A Generic Formula and Some Special Cases for the Kullback–Leibler Divergence between Central Multivariate Cauchy Distributions. Entropy, 24, 838, July 2022. doi:10.3390/e24060838
N. Bouhlel and D. Rousseau (2023), Exact Rényi and Kullback-Leibler Divergences Between Multivariate t-Distributions, IEEE Signal Processing Letters. doi:10.1109/LSP.2023.3324594
See Also
Useful links:
Report bugs at https://forgemia.inra.fr/imhorphen/multvardiv/-/issues